Contact your probation officer and explain the situation to him/her. It is not uncommon for probation to be transferred from one state to the next so long as the probationer has been fully compliant with all of the terms and conditionjs of probation.
People transfer their probation to another state all the time, but it must be done according to the procedures of the court, with the courts permission by arrangement. Bottom line: discuss this with your current Probation Officer. He or she will be able to help you. Generally they will tell you that you need to get the Probation Department in the place you plan to move to, to indicate a willingness to take you on. Start with your current PO.